Class FloatComplexCholeskyLeastSq solves least square problems by using the Cholesky factorization to solve the normal equations.Namespace: CenterSpace.NMath.Matrix
Assembly: NMathPremium (in NMathPremium.dll) Version: 18.104.22.168
The normal equations for the least squares problem Ax = b are:
where A' denotes the transpose of the matrix A. If A has full rank, then A'A is symmetric positive definite (and, in fact, the converse is true). Thus, the Cholesky factorization may be used to solve the normal equations. Note this implies that this method will fail if A is rank deficiennt.
A'Ax = A'b